Under this mighty topic of interest rate, in this post I explore interest rates from 1970s and try to understand them in more details in exact dates and actions in history.

One of the motivation is to get a bit of crystal ball on inflation and recession. If I have longer data, I would like to study on wars as well.

We had lived in a world with low inflation in the US coming out of a decade of less than 2.5% YoY inflation rate. China inflation rate is less than 4%, India 6%, and Japan only at 0.5%. It is hard to imagine how inflation possibly could get any worse than the current +7% in the US, and 5.8% in Europe (average) in the West. But it very well likely can.

MEV	frequency	meaning	date
PALLFNFINDEXQ	quarterly	global commodities	first of quarter
CPIAUCSL	monthly	cpi	first of month
PPIACO	monthly	producers index	first of month
USSTHPI	quarterly	hpi	first of quarter
FEDFUNDS	monthly	fed funds rate	first of month
DGS10	daily	10-Year Treasury rate	nan
DGS2	daily	2-Year Treasury rate	nan
TB3MS	monthly	3-month Treasury bill	first of month
UNRATE	monthly	unemployment rate	first of month
GDP	quarterly	Nominal GDP	first of quarter
GDPC1	quarterly	Inflation adjusted GDP	first of quarter

codefred.py

import pandas_datareader.data as web    # pandas 0.19.x and later
from datetime import datetime
import pandas as pd
import matplotlib.pyplot as plt
lt = ["FEDFUNDS","DGS10",   "DGS2",    "TB3MS",   "UNRATE",  "GDP",     "GDPC1"]
ss_lt =[]
start = pd.Timestamp('1960-1-1')
end = datetime.today()
for i in lt:
    ss =web.DataReader(i, "fred", start, end)
    ss_lt.append(ss)
df = pd.concat(ss_lt, axis=1)